報(bào) 告 人：劉志 副教授
報(bào)告題目：Limiting theorem of realized covariance when zero returns are present
報(bào)告時(shí)間：2023年12月18日（周一下午4：00 )
報(bào)告地點(diǎn)：江蘇師范大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院學(xué)術(shù)報(bào)告廳（靜遠(yuǎn)樓1506室）
主辦單位：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院、數(shù)學(xué)研究院、科學(xué)技術(shù)研究院
報(bào)告人簡(jiǎn)介：
劉志，澳門大學(xué)科技學(xué)院副教授，主要研究方向?yàn)榻y(tǒng)計(jì)學(xué)及其交叉方向。研究興趣包括隨機(jī)過程統(tǒng)計(jì)，金融統(tǒng)計(jì)，機(jī)器學(xué)習(xí)在生物信息和醫(yī)學(xué)數(shù)據(jù)方面的應(yīng)用。其工作的主要貢獻(xiàn)為發(fā)展了連續(xù)時(shí)間模型中波動(dòng)率在不同場(chǎng)景下的估計(jì)理論，以及建立了澳門本地慢性腎病病人腎小球?yàn)V過率的預(yù)測(cè)模型。論文廣泛發(fā)表于統(tǒng)計(jì)學(xué)及其交叉學(xué)科優(yōu)秀期刊，如統(tǒng)計(jì)學(xué)期刊Annals of Statistics, Journal of American Statistical Association, Journal of Business and Economic Statistics, 計(jì)量經(jīng)濟(jì)學(xué)期刊Journal of Econometrics, Quantitative Economics, Econometric Theory, Econometrics Journal, 金融學(xué)期刊Journal of Banking and Finance, Finance and Stochastics, 生物信息學(xué)期刊Bioinformatics, 以及機(jī)器學(xué)習(xí)會(huì)議AAAI , 等. 目前主要關(guān)注的問題為復(fù)雜神經(jīng)網(wǎng)絡(luò)的泛化誤差和估計(jì)誤差上界，和慢性腎病的影響因子探測(cè)。
報(bào)告摘要：
Considering the presence of bivariate price staleness, we study the problem of estimating the covariation of two semimartingales. We propose a consistent estimator and establish a unified limiting theory for the realized covariation under the presence of price staleness, which includes the existing results as special cases. Our results demonstrate that the presence of idiosyncratic price staleness can induce a bias in the realized covariation but the systematic price staleness does not affect the limit of the realized covariation. Moreover, the bias induced by price staleness makes the realized covariation closer to zero than that without the presence of price staleness, hence this explains the well-known Epps effect appropriately. We conduct Monte Carlo studies to assess the finite sample performance of the proposed theory, and some empirical applications to real high-frequency data are considered to illustrate our theory. This is a joint work with Haibin Zhu.